You should use a script named Ccoa's UMS. I think it's the best message system for XP.
Just do a forum search, using the search engine in the upper-right corner of the page, you should find it.
To use it, just open rmxp, then open the script editor (it's with the database, materialbase and sound test), you can also press F11 to open it.
Then scroll down to the end of the list, create a new script above Main (just click on Main and press Insert) and copy-paste Ccoa's script in there.